Performance replication of the Spot Energy Index with optimal equity portfolio selection: Evidence from the UK, US and Brazilian markets

Kostas Andriosopoulos and Nikos Nomikos

European Journal of Operational Research, 2014, vol. 234, issue 2, 571-582

Abstract: This paper reproduces the performance of a geometric average Spot Energy Index by investing only in a subset of stocks from the Dow Jones Composite Average, the FTSE 100 and Bovespa Composite indexes, and in two pools that include only energy-sector stocks from the US and the UK respectively. Daily data are used and the index-tracking problem for passive investment is addressed with two evolutionary algorithms – the differential evolution algorithm and the genetic algorithm. The performance of the suggested investment strategy is tested under three different scenarios: buy-and-hold, quarterly and monthly rebalancing, accounting for transaction costs where necessary.

Keywords: Energy markets; International equities; International investment; Index tracking; Evolutionary algorithms (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:234:y:2014:i:2:p:571-582

DOI: 10.1016/j.ejor.2013.09.006

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